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Modelization and valuation methods of gas contracts: Stochastic control approaches

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Academic year: 2021

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Figure

Figure 1.1: Inventory-dependent injection and withdrawal rates. Finally, the inventory level satises by denition the ordinary dierential equation
Figure 2.1: 3 characteristic numbers (δ, l, q) of indexed strike prices Supplying contract value Gas can be purchased at some xed dates (every day)
Figure 2.3: Gas oil DaH prices and corresponding moving averages of type (601) and (301)
Figure 3.1: Change of measure introduced to perform the estimation of error E p
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